Put the cranberies, lemon and orange zest, orange and lemon juice, sugar, vanilla and 11/2 cups of the water in a medium saucepan over medium high heat.
Bring to a boil and cook for 8 minutes.
Dissolve the cornstarch in the remaining 1/2 cup water and add to the pan.
Reduce the heat to medium, then stir constantly until the mixture thickens, about 2 minutes.
Remove from heat and cool completely before serving.